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Risk Management and Shareholders Value: From Risk Measurement Models to Capital Allocation Policies (The Wiley Finance Series) Hardcover – 10 May 2007

5.0 out of 5 stars 3 customer reviews

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Product details

  • Hardcover: 812 pages
  • Publisher: John Wiley & Sons; 1 edition (10 May 2007)
  • Language: English
  • ISBN-10: 0470029781
  • ISBN-13: 978-0470029787
  • Product Dimensions: 17.8 x 4.9 x 25.1 cm
  • Average Customer Review: 5.0 out of 5 stars 3 customer reviews
  • Amazon Bestsellers Rank: 1,235,333 in Books (See Top 100 in Books)
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Product description


This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value. Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications.Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. "Risk Management and Shareholders' Value in Banking" includes: Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more; formulae for risk-adjusted loan pricing and risk-adjusted performance measurement; extensive, hands-on excel examples are provided on the companion website; a complete, up-to-date introduction to Basel II; and, focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics.

From the Inside Flap

"I believe that this is the most comprehensive and instructive risk management book available today." – Edward I. Altman, Max L. Heine Professor of Finance, NYU Stern School of Business

"This book sets out to fill a gap in the existing literature, providing a balanced treatment of quantitative methods of measuring key financial quantitative methods of measuring key financial risks, an up–to–date presentation of the regulatory framework and capital management issues at a technical level that is suitable yet does not overburden the reader." – Klaus Duellmann, Senior Economist, Deutsche Bundesbank

"Andrea Sironi and Andrea Resti have written a very thoughtful book on the fundamental pillars of risk management, ranging from all aspects of asset and liability management to market risk, credit risk, and operational risk. The book develops particular emphasis on risk measurement, capital management, and value creation in banks and financial institutions on a sound and integrated framework. the presentation in the book is logical, systematic, and coherent. This makes the book very readable and accessible to a wide range of audience. More importantly, the book is pitched at a technical level that makes it readily accessible as a textbook or a book for self–study, something that is very lacking now in the financial industry. I have very high expectation for this book. Congratulations." – Michael K. Ong, Professor of Finance, Stuart School of Business, Illinois Institute of Technology

"Professors Sironi and Resti have both done a great job in making risk measurement and capital management concepts and techniques within the financial industry truly accessible. this book leads the reader patiently from the building blocks of risk measurement to the complex task of optimizing the use of capital by financial intermediaries, taking into account both the maximization of shareholders′ value and the constraints imposed by prudential regulations." – Giovanni Carosio, Deputy Director General Banca D′Italia

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Top customer reviews

20 April 2012
Format: Hardcover|Verified Purchase
9 November 2007
Format: Hardcover
2 people found this helpful
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23 April 2012
Format: Hardcover

Most helpful customer reviews on 4.6 out of 5 stars 3 reviews
M. Zobian
4.0 out of 5 starsGreat textbook for bank or portfolio risk manager
24 February 2008 - Published on
Format: Hardcover|Verified Purchase
8 people found this helpful.
5.0 out of 5 starsBest book of Risk Management
15 July 2013 - Published on
Format: Hardcover|Verified Purchase
2 people found this helpful.
Rafik Suvaryan
5.0 out of 5 starsgreat book!
22 April 2010 - Published on
Format: Hardcover|Verified Purchase

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